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If you have a single ticket through to Milan, you will not have to go through customs in Zurich as your luggage will be tagged through to Milan. You will have to go through passport control in Zurich as you will be entering the Schengen area in Zurich. After getting your passport stamped, you will then have to follow the signage on the airport for your gate for the next flight for Milan. As Zurich and Milan are both in the Schengen area, the flights operate as if they were domestic flights in the same country. So you will not pass through any passport control in Milan. You will collect your luggage in Milan and go through customs and exit.